scientific article; zbMATH DE number 5066277

zbMath1120.60045arXivmath/0412196MaRDI QIDQ5493562

Marc Yor, Jan Obłój

Publication date: 23 October 2006

Full work available at URL: https://arxiv.org/abs/math/0412196

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

harmonic functionsexcess wealth ordersupremum processcontinuous local martingaleSkorokhod's embedding problem

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (9)

A complete characterization of local martingales which are functions of Brownian motion and its maximum ⋮ A trajectorial interpretation of Doob's martingale inequalities ⋮ An explicit solution to the Skorokhod embedding problem for functionals of excursions of Markov processes ⋮ Penalisation of a stable Lévy process involving its one-sided supremum ⋮ Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent ⋮ On Azéma-Yor processes, their optimal properties and the Bachelier-drawdown equation ⋮ On pathwise counterparts of Doob's maximal inequalities ⋮ Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups ⋮ Pathwise versions of the Burkholder-Davis-Gundy inequality

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